GMGEX vs. VTWAX

Last updated Jun 26, 2026

GMGEX (GMO Global Equity Allocation Fund) and VTWAX (Vanguard Total World Stock Index Fund Admiral Shares) are both Global Equities funds. Over the past 5 years, GMGEX returned 9.62%/yr vs 10.38%/yr for VTWAX. Their correlation of 0.94 suggests significant overlap in exposure. GMGEX charges 0.01%/yr vs 0.09%/yr for VTWAX.

Performance

GMGEX vs. VTWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Equity Allocation Fund (GMGEX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMGEX achieves a 16.28% return, which is significantly higher than VTWAX's 9.97% return.

GMGEX

• 1D: -0.05%
• 1M: -1.66%
• YTD: 16.28%
• 6M: 15.49%
• 1Y: 35.95%
• 3Y*: 20.30%
• 5Y*: 9.62%
• 10Y*: 11.46%

VTWAX

• 1D: -0.04%
• 1M: -1.57%
• YTD: 9.97%
• 6M: 9.03%
• 1Y: 24.28%
• 3Y*: 19.84%
• 5Y*: 10.38%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

GMGEX vs. VTWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GMGEX GMO Global Equity Allocation Fund	16.28%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	14.69%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	9.97%	22.43%	16.43%	21.85%	-18.02%	18.17%	16.67%	17.53%

Correlation

The correlation between GMGEX and VTWAX is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (All Time) Calculated using the full available price history since Feb 7, 2019	0.94

The correlation between GMGEX and VTWAX has been stable across timeframes, ranging from 0.93 to 0.94 - a consistent structural relationship.

Return for Risk

GMGEX vs. VTWAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GMGEX

GMGEX Risk / Return Rank: 88
GMGEX Sharpe Ratio Rank: 92
GMGEX Sortino Ratio Rank: 87
GMGEX Omega Ratio Rank: 85
GMGEX Calmar Ratio Rank: 89
GMGEX Martin Ratio Rank: 90

VTWAX

VTWAX Risk / Return Rank: 56
VTWAX Sharpe Ratio Rank: 55
VTWAX Sortino Ratio Rank: 51
VTWAX Omega Ratio Rank: 54
VTWAX Calmar Ratio Rank: 56
VTWAX Martin Ratio Rank: 65

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GMGEX vs. VTWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Global Equity Allocation Fund (GMGEX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	GMGEX	VTWAX	Difference
Sharpe ratio: Return per unit of total volatility	2.68	1.83	+0.85
Sortino ratio: Return per unit of downside risk	3.64	2.51	+1.13
Omega ratio: Gain probability vs. loss probability	1.49	1.34	+0.16
Calmar ratio: Return relative to maximum drawdown	3.86	2.51	+1.35
Martin ratio: Return relative to average drawdown	15.01	10.87	+4.14

GMGEX vs. VTWAX - Sharpe Ratio Comparison

The current GMGEX Sharpe Ratio is 2.68, which is higher than the VTWAX Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of GMGEX and VTWAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GMGEX vs. VTWAX - Drawdown Comparison

The maximum GMGEX drawdown since its inception was -58.47%, which is greater than VTWAX's maximum drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for GMGEX and VTWAX.

Drawdown Indicators

	GMGEX	VTWAX	Difference
Max Drawdown Largest peak-to-trough decline	-58.47%	-34.20%	-24.27%
Max Drawdown (1Y) Largest decline over 1 year	-9.24%	-9.64%	+0.40%
Max Drawdown (3Y) Largest decline over 3 years	-17.12%	-16.43%	-0.69%
Max Drawdown (5Y) Largest decline over 5 years	-28.58%	-26.40%	-2.18%
Max Drawdown (10Y) Largest decline over 10 years	-34.98%	—	—
Current Drawdown Current decline from peak	-2.98%	-2.81%	-0.17%
Average Drawdown Average peak-to-trough decline	-16.72%	-5.27%	-11.45%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.37%	2.22%	+0.15%

Volatility

GMGEX vs. VTWAX - Volatility Comparison

The current volatility for GMO Global Equity Allocation Fund (GMGEX) is 5.16%, while Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) has a volatility of 5.56%. This indicates that GMGEX experiences smaller price fluctuations and is considered to be less risky than VTWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMGEX	VTWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.16%	5.56%	-0.40%
Volatility (6M) Calculated over the trailing 6-month period	10.86%	10.97%	-0.11%
Volatility (1Y) Calculated over the trailing 1-year period	13.37%	13.27%	+0.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.91%	15.86%	-0.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.00%	18.23%	-2.23%

GMGEX vs. VTWAX - Expense Ratio Comparison

GMGEX has a 0.01% expense ratio, which is lower than VTWAX's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

GMGEX vs. VTWAX - Dividend Comparison

GMGEX's dividend yield for the trailing twelve months is around 4.03%, more than VTWAX's 1.58% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMGEX GMO Global Equity Allocation Fund	4.03%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	1.58%	1.80%	1.92%	2.06%	2.17%	1.79%	1.64%	2.28%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GMGEX and VTWAX in my portfolio?

With a correlation of 0.94, GMGEX and VTWAX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, GMGEX or VTWAX?

VTWAX has higher volatility (5.56%) compared to GMGEX (5.16%). In terms of maximum drawdown, GMGEX dropped -58.47% vs VTWAX's -34.20%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (2.68 vs 1.83), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.